course-details-portlet

TMA4285

Time Series Models

Credits 7.5
Level Second degree level
Course start Autumn 2013
Duration 1 semester
Language of instruction English and norwegian
Examination arrangement Portfolio assessment

About

About the course

Course content

Autoregressive and moving average based models for stationary and non-stationary time series.
Parameter estimation. Model identification. Forecasting. ARCH and GARCH models for
volatility. State space models (linear dynamic models) and the Kalman filter.

Learning outcome

1. Knowledge. The student knows the theoretical basis for modelling and analysis of time series data from engineering and finance. This includes knowledge about autoregressive and moving average models for stationary and non-stationary time series, and to know how to do
model identification, parameter estimation and forecasting in such models. It also includes knowledge about ARCH and GARCH models for volatility, state space models (linear dynamic models) and the Kalman filter.

2. Skills. The student is able to use his or her knowledge about various time series models to fit models to observed time series data from engineering and finance, and to make forecasts based on the same data.

Learning methods and activities

Lectures, exercises, and semester project(s) demanding the use of appropriate computer software. Portfolio assessment is the basis for the grade awarded in the course. This portfolio comprises a written final examination (80%) and the semester project(s) (20%). The results
for the constituent parts are to be given in %-points, while the grade for the whole portfolio (course grade) is given by the letter grading system. Retake of examination may be given as an oral examination. The lectures may be given in English. If the course is taught in English, the exam will be given only in English. Students are free to choose Norwegian or English for written assessments.

Compulsory assignments

  • Exercises

Course materials

Will be announced at the start of the course.

Credit reductions

Course code Reduction From
SIF5079 7.5 sp
This course has academic overlap with the course in the table above. If you take overlapping courses, you will receive a credit reduction in the course where you have the lowest grade. If the grades are the same, the reduction will be applied to the course completed most recently.

Subject areas

  • Statistics
  • Technological subjects

Contact information

Course coordinator

Lecturers

Department with academic responsibility

Department of Mathematical Sciences

Examination

Examination

Examination arrangement: Portfolio assessment
Grade: Letters

Ordinary examination - Autumn 2013

Skriftlig eksamen
Weighting 80/100 Date 2013-12-07 Time 09:00 Duration 4 timer Place and room Not specified yet.
Arbeider
Weighting 20/100

Re-sit examination - Summer 2014

Arbeider
Weighting 20/100
Muntlig eksamen
Weighting 80/100 Date 2014-08-05